Séminaire Jeunes chercheurs (Anaïs Després, jeudi 19 novembre 2026)

Une séance exceptionnelle du séminaire Jeunes chercheurs du CEREMADE aura lieu le jeudi 19 novembre 2026 à 17h en salle A709. Nous aurons le plaisir d'écouter Anaïs Després (LaMME, Université Evry Paris-Saclay), qui nous parlera de

Specific Entropic Martingale Optimal Transport: From Duality to Mirror Flow.

Abstract
Classical entropy regularization is not well adapted to continuous-time martingale transport because relative entropy between diffusion laws constrains volatility dynamics. We propose a specific-entropy framework based on Poisson jump approximations of continuous martingales. In the Gaussian-mark setting, this leads to explicit entropy functionals on Wiener space whose limits depend on both the martingale law and the microscopic approximation scheme. We then prove a strong duality result and use it to derive a Sinkhorn-type method based on coupled HJB/FP equations. A mirror-flow formulation reveals exponential contraction of the ideal terminal marginal, while a practical linearized scheme admits local tracking error bounds. Numerical experiments in one and two dimensions illustrate the approach and demonstrate substantial computational gains over gradient flow.